New Indicators for Tracking Growth in Real Time
February 1, 2011
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Summary
We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good GDP growth forecasts relative to a range of time series models.
Subject: Business cycles, Economic and financial statistics, Factor models, Global financial crisis of 2008-2009, Vector autoregression
Keywords: real GDP, WP
Pages:
22
Volume:
2011
DOI:
Issue:
043
Series:
Working Paper No. 2011/043
Stock No:
WPIEA2011043
ISBN:
9781455218998
ISSN:
1018-5941
